SEMINÁRIO: The Bootstrap in Extreme Value Theory
Prof. Alex J. Koning - Econometric Institute - Erasmus University Rotterdam
- FCUL - Campo Grande - Bloco C6 Piso 4 - Sala: 6.4.31- 14:30h
- Segunda-feira, 4 de Dezembro de 2017
- Referência Projeto: Projecto FCT: UID/MAT/00006/2013
In the block maxima context, we develope a version of Drees' Theorem describing the behavior of the bootstrap block maximum sample quantile. Our version of Drees' Theorem allows us to show that the bootstrap works for many statistics in the block maxima framework, and for the PWM estimator in particular. We also develope a second version of Drees' Theorem, which allows us to show that the bootstrap works for many statistics in the peaks-over-threshold framework. The theoretical results are supported by simulation results.
Joint work with Laurens de Haan, Chen Zhou